Just to add to the Solution #3 mentioned by Zoltan Zargo
In most cases, SQL Server Script files are set to the "Western European (Windows) - Codepage 1252" encoding. Hence, the INR rupee symbol does not often appear correctly. The default font chosen in the Script Editor might allow the display of the character, but while saving the script file, SSMS will indicate the anomaly.
Hence, without altering the encoding, you could simply adopt the NCHAR function. For example (extending upon what has already been pointed out earlier in the thread), shows the various ways how this could be achieved:
select UNICODE(N'₹'), NCHAR(8377), 'INR ' + NCHAR(8377)
Hope this helps.